Controlled Markov Processes and Viscosity SolutionsThis book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters in this second edition introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games. |
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... revising the text for this edition. Preface This book is intended as an introduction to optimal. W.H. Fleming May 1, 2005 H.M. Soner Sn denotes the set of symmetric n×n matrices and Sn+. Preface to Second Edition Preface.
... revising the text for this edition. Preface This book is intended as an introduction to optimal. W.H. Fleming May 1, 2005 H.M. Soner Sn denotes the set of symmetric n×n matrices and Sn+. Preface to Second Edition Preface.
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... denotes n-dimensional euclidean space, with elements x = (x1 ,···,x n ). We write x · y = n∑ i=1 xiyi and |x| = (x · x)12 for the euclidean norm. If A is a m × n matrix, we denote by |A| the operator norm of the corresponding linear ...
... denotes n-dimensional euclidean space, with elements x = (x1 ,···,x n ). We write x · y = n∑ i=1 xiyi and |x| = (x · x)12 for the euclidean norm. If A is a m × n matrix, we denote by |A| the operator norm of the corresponding linear ...
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... denote the intersections over k : 1, 2, ~ ~~ of C'k(E), C'1}“(E),C;f(E). We denote the gradient vector and matrix of second order partial derivatives of gb by ii /{glm t11'“~/ I D¢: (¢m1a"'v¢mn) D2¢: (¢ZiZj)7i7j : 1>' ">77" Sometimes ...
... denote the intersections over k : 1, 2, ~ ~~ of C'k(E), C'1}“(E),C;f(E). We denote the gradient vector and matrix of second order partial derivatives of gb by ii /{glm t11'“~/ I D¢: (¢m1a"'v¢mn) D2¢: (¢ZiZj)7i7j : 1>' ">77" Sometimes ...
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... denoted by DIQ Didi, or sometimes by Q5“ Q5". 1f F is a real-valued function on a set U which has a minimum on U, then argvré1[i]nF(v) : {v* G U : F(v*) § F(v) V12 G U}. The supnorm of a bounded function is denoted by ||, and LP-norms ...
... denoted by DIQ Didi, or sometimes by Q5“ Q5". 1f F is a real-valued function on a set U which has a minimum on U, then argvré1[i]nF(v) : {v* G U : F(v*) § F(v) V12 G U}. The supnorm of a bounded function is denoted by ||, and LP-norms ...
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... denote respectively the inventory level and production rate for commodity i = 1,···,n at time s. In this simple model we assume that the demand rates di are fixed constants, known to the planner. Let x(s)=(x 1(s),···,x n(s)), u(s)=(u 1 ...
... denote respectively the inventory level and production rate for commodity i = 1,···,n at time s. In this simple model we assume that the demand rates di are fixed constants, known to the planner. Let x(s)=(x 1(s),···,x n(s)), u(s)=(u 1 ...
Contents
1 | |
Viscosity Solutions | 57 |
Differential Games | 375 |
A Duality Relationships 397 | 396 |
References | 409 |
Other editions - View all
Controlled Markov Processes and Viscosity Solutions Wendell H. Fleming,Halil Mete Soner No preview available - 2006 |
Common terms and phrases
admissible control assume assumptions boundary condition boundary data bounded brownian motion calculus of variations Chapter classical solution consider constant controlled Markov diffusion convergence convex Corollary cost function define definition denote differential games dynamic programming equation dynamic programming principle Dynkin formula Example exists exit finite first formulation G Q0 Hamilton-Jacobi equation Hence HJB equation holds implies inequality initial data Ishii Lemma linear Lipschitz continuous Markov chain Markov control policy Markov processes maximum principle minimizing Moreover nonlinear obtain optimal control optimal control problem partial derivatives partial differential equation progressively measurable proof of Theorem prove reference probability system Remark result risk sensitive satisfies satisfying Section semigroup Soner stochastic control stochastic control problem stochastic differential equations subset Suppose Theorem 9.1 uniformly continuous unique value function Verification Theorem viscosity solution viscosity subsolution viscosity supersolution